First thing to consider is whether or not the fish, or the lake the fish came from, has a consumption advisory. Most will specify NOT to eat the fat or eggs of different species, since that's where the PCB's & Mercury tend to collect.
If no advisory against eating them ... you have to remove the egg sac "whole", and keep it that way !! Busted egg sacs will allow individual eggs to drop out into the grease, and they'll "pop" just like popcorn ... splattering grease everywhere. You roll them in cornmeal, just like the fish, and fry them the same (just not as long). They really don't have much in the way of "taste" (to me) and can be a bit "gritty" as far as texture. Then again, some people eat the tail fins of fish ... so, to each his own. I just don't bother with them, since they don't really taste "all that" to me ... and they're a bother to remove, if you're filleting the fish with an elec knife.